Question
Consider an equally weighted portfolio of stocks in which each stock has a volatility of 30%, and the correlation between each pair of stocks is
Consider an equally weighted portfolio of stocks in which each stock has a volatility of 30%, and the correlation between each pair of stocks is 15%.
a) What is the volatility of the portfolio as the number of stocks becomes arbitrarily large?
b) What is the average correlation of each stock with this large portfolio?
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Personal Finance
Authors: Jack Kapoor, Les Dlabay, Robert Hughes
4th Edition
0256147175, 978-0256147179
